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La complejidad del mercado bursátil latinoamericano a partir de un modelo autómata celular conductual

Author

Listed:
  • Leonardo Hernán Talero Sarmiento
  • uan Benjamín Duarte-Duarte
  • Laura Daniela Garcés-Carreño

Abstract

La presente investigación busca evaluar el nivel de complejidad del mercado latinoamericano, mediante la construcción de un modelo autómata celular. Para ello se estudian seis índices bursátiles: COLCAP, IPSA, MERVAL, MEXBOL, SPBLPGPT e IBOV, en el periodo 2004-2016. Estas series son analizadas a partir de su comportamiento estadístico, el ajuste de retornos y la estimación de su grado de complejidad. Este último es contrastado posteriormente con el nivel de complejidad obtenido mediante la simulación de un mercado bursátil artificial, y se concluye que los mercados latinoamericanos, a pesar de presentar diferencias, suelen tener tendencias similares, ya que su grado de complejidad no puede ser pronosticado por un modelo autómata celular conductual basado netamente en la imitación.

Suggested Citation

  • Leonardo Hernán Talero Sarmiento & uan Benjamín Duarte-Duarte & Laura Daniela Garcés-Carreño, 2017. "La complejidad del mercado bursátil latinoamericano a partir de un modelo autómata celular conductual," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 36(64), pages 199-223, October.
    • Handle: RePEc:col:000152:015783
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    References listed on IDEAS

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    1. Guillermo Sierra Juárez, 2007. "Procesos de Hurts y movimientos brownianos fraccionales en mercados fractales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(1), pages 1-21.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    3. Robert J. Shiller, 2003. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 83-104, Winter.
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    More about this item

    Keywords

    finanzas conductuales; principios subyacentes; técnicas computacionales; modelado y simulación.;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • G2 - Financial Economics - - Financial Institutions and Services

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